was formerly a professor of statistics at that university He is a former database software developer in Silicon Valley, and has been a statistical consultant for rms such as the Kaiser Permanente Health Plan Dr Matlo was born in Los Angeles, and grew up in East Los Angeles and the San Gabriel Valley
Computer Intensive Statistics STAT:7400, Spring 2019 Tierney Uniform Random Numbers The most basic distribution is the uniform distribution on [0;1] Ideally we would like to be able to obtain a sequence of independent draws from the uniform distribution on [0;1] Since we can only use finitely many digits, we can also work with
prepared size N simulations obtained with computers As the teaching of statistical tools was reinforced and simulations were introduced, the Inter-IREM commission felt the need to clarify the status of probability as a part of teaching statistics and the role of probability in learning modeling, where probability is considered as a
Applications of Probability and Statistics Computer Science: I Machine Learning I Data Mining I Artificial Intelligence I Simulation I Image Processing I Computer Graphics I Visualization I Software Testing I Algorithms Electrical Engineering: I Signal Processing I Telecommunications I Information Theory I Control Theory I Instrumentation
Probability is the language of stochastic modeling and statistical machine learning However, a variety of philosophical interpretations of the probability concept can exist Frequentist: statistical analysis must be based on the use of sample data evaluated through a frequency concept of probability Information comes
either perfect prognosis or model output statistics (MOS) Abstract Most bias correction algorithms used in clima-tology, for example quantile mapping, are applied to uni-variate time series They neglect the dependence between different variables Those that are multivariate often correct only limited measures of joint dependence, such as Pearson
• Co-organizer of 2005 INFORMS Applied Probability Conference, Ottawa, Canada • Chair, INFORMS Applied Probability Society, 2004-2006 • Council Member, INFORMS Applied Probability Society, 2002-2010 • Member, International Scientific Advisory Board, Mathematics of Information Technology and Complex Systems, 2006-2012
STAT 3010 STATISTICS FOR ENGINEERS AND SCIENTISTS (3) LEC 3 Pr MATH 1610 or MATH 1613 or MATH 1617 or MATH 1710 Introduction to statistical methods and analysis used in engineering and science STAT 3600/3603 PROBABILITY AND STATISTICS I (3) LEC 3 Pr MATH 1620 or MATH 1623 or MATH 1627 or MATH 1720
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CURRICULUM VITAE PETER W. GLYNN Professor Department of Management Science & Engineering Stanford University Stanford, CA 94305-4026 EDUCATION • Ph.D. in Operations Research, Stanford University, Stanford, CA, 1982 Title: Simulation Output Analysis for General State Space Markov Chains • B.S. with Honors in Mathematics Carleton University, Ottawa, Ontario, Canada, 1978 Honors Thesis Title: Application of Diffusion Approximation to a Two-Customer -Type Single Server Queue PROFESSIONAL EXPERIENCE • Professor, Department of Management Science and Engineering, Stanford University, January 2000 to present • Professor, Institute for Computational and Ma themat ical Engineering, Stanford University, 2004 to present • Professor (by Courtesy), Department of Electrical Engineering, Stanford University, 2010 to present • Chair, Department of Management Science and Engineering, Stanford University, 2011-2015 • Director, Institute for Computational and Ma themat ical Engineering, Stanford University, 2006 - 2010
2 • Deputy Chair, Department of Management Scienc e and Engi neering, Stanford University, January 2000 to August 2001, September 2002 to August 2005 • Professor, D epartment of Engineering-Economic Systems and Ope rations Research, Stanford University, Autumn 1996 - Autumn 1999 • Professor, Department of Operations Research, Stanford University, Autumn 1994 - Summer 1996 • Associate Professor, Department of Operations Research, Stanford University, Autumn 1987 - Summer 1994 • Visiting Associate Profes sor, D epartment of Mathematics and S tatist ics, Carleton University, September 1989 - December 1989 • Assistant Professor, Uni versity of Wisconsin-Madison (Joint appointm ent between Industrial Engineering and Mathe matics Research Center [courtesy appointments in Computer Science and Mathematics]) Summer 1982 - Summer 1987 • Adjunct Professor, School of Mathematics and Statistics, Carleton University • Visiting Professor, Department of Mathematical S ciences , Aarhus University, March and October 2016 • Visiting Professor, Department of Statistics, Rice University, October 1996 - December 1996 HONORS, AWARDS AND DISTINCTIONS • Winner of Outstanding Si mulation P ublication Award (for period 2013-2015), INFORMS Simulation Soci ety, for "Unbiased Monte Carlo for O ptimizati on and Functions of Expectations via Multilevel Randomization" [with Chang-Han Rhee], 2016 • Markov Lecturer, INFORMS National Meeting, 2014 • Pritsker Scholars Distinguished Lecture, Purdue University, 2014 • Wasserstrom Lecture Series, Northwestern University, 2013 • Member, National Academy of Engineering, 2012 • 2010 John von Neumann Theory Prize, INFORMS [with Soren Asmussen] • Winner of Best Publ ication A ward (for period 2007-2009), INF ORMS Applied Probability Society, 2009 [with Jose Blanchet and Jing-chen Liu]
3 • Winner of Outstanding Simulation Publication Award (for period 2006-2008) INFORMS Simulation Society, for "Stochastic Simulation: Algorithms and Analysis" [with Soren Asmussen] • Fellow, INFORMS, 2007 - present • Lunteren Lecturer, The Netherlands, 2007 • Two of top ten most influential papers published in 1st 40 years of Winter Simulation Conference (1967-2007). • Fellow, Institute of Mathematical Statistics (IMS), 1998 - present • Thomas W. Ford Professor of Engineering, 1996 - present • Thomas W. Ford Faculty Scholar Chair, 1993 - 1996 • IMS Medallion Lecturer, 1995 • Winner of Outstanding Simulation Publication Award, INFORMS Simulation Society, for "Discrete-time Conversion for Simulating Finite-Horizon Markov Processes" [with B.L. Fox], 1993. • Postgraduate Scholarship, Na tural Sciences and Engine ering Research Council of Canada, 1978 - 1982 • Senate Medal for Academic Achievement, Carleton University, 1978 • Lester B. Pearson Scholarship, Carleton University, 1977 - 1978 • Henry M. Tory Scholarship, Carleton University, 1973 - 1977 EDITORIAL BOARDS, PROFESSIONAL AFFILIATIONS AND SERVICE Editorial Boards • Member of Editorial Board, Applied Stochastic Models and Data Analysis, 1985-1991 • Member of Editorial Board, Stochastic Models, 1987 - 1998 • Associate Editor, Management Science, 1988 - 1997 • Associate Editor, Journal of Discrete Event Dynamic Systems, 1990 - 1994 • Associate Editor, The Annals of Applied Probability, 1994 - present
4 • Editor, Springer-Verlag Series in Operations Research, 1995 - 2004 • Guest Editor, Discrete Event Dynamic Systems: Theory and Applications, 1996, special issue focused on generalized semi-Markov processes • Associate Editor, Mathematics of Operations Research, 1996 -2001, 2005-2009. • Co-Editor, Journal of Computational Finance, 1997 -2001 • Area Editor, Mathematics of Operations Research, 2002 - 2005 • Associate Editor, Journal of Applied Probability and Advances in Applied Probability, 2005- 2015 • Founding Editor-in-Chief, Stochastic Systems, 2009- 2014 • Editor, Springer Series on Probability Theory and Stochastic Modeling • Editor-in-Chief, Journal of Applied Probability and Advances in Applied Probability, 2016-present • Member, Advisory Board, Queueing Systems: Theory and Applications, 2010 - present • Member, Advisory Board, Stochastic Systems, 2017 - present • Member, Advisory Board, Mathematics of Operations Research, 2017 - present Professional Affiliations • The Institute for Operations Research and the Management Sciences (INFORMS) • Institute of Mathematical Statistics (IMS) Professional Service • Principal Co-Organizer, Monte Carlo and Quas i-Monte Carlo Conference , S tanford, CA, August 2016 • Member, Visiting Committee for Institute on Data Sciences and Society, MIT, 2014 to present • Member, Scientific Advisory Board, NETWORKS Research Center, The Netherlands, 2015 to present
5 • Member, External Advisory Committee, Department of Indus trial Engineering and Logistics Management, Hong Kong Unive rsity of Science and Technology, 2014 to present • Principal Co-Organizer, Thematic Programme in Stochastic Processes in the Communications Sciences, Isaac Newton Institute, University of Cambridge, January 2010 to July 2010 • Program Committee, Sigmetrics, 2010 and 2011 • Program Co-Chair, Efficient Monte Carlo: From Variance Reduction to Combinatorial Optimization. Sondbjorg, Denmark, 2008. • Member, Technical Program Committee, Valuetools Conference, Pisa, Italy, 2009. • General Program Chair, Valuetools Conference, Nantes, France, 2008. • Member, INFORMS von Neumann Prize Committee, 2006-2008 • Co-organizer of 2005 INFORMS Applied Probability Conference, Ottawa, Canada • Chair, INFORMS Applied Probability Society, 2004-2006 • Council Member, INFORMS Applied Probability Society, 2002-2010 • Member, International Scientific Advisory Board, Mathematics of Information Technology and Complex Systems, 2006-2012 • Chair, Evaluation Committee, Eurandom, 2005 • Co-organizer of 2004 Stochastic Networks Conference, Montreal, Canada • Member, Steering Committee, Centre de Recherches Mathematiques, Montreal, Canada, 2002-2005. • Co-organizer of 2002 Conference on Stochastic Networks, Stanford University, June 2002. • Member, Grant Selection Committee for the Statistical Sciences, Natural Sciences and Engineering Research Council of Canada, 2001-2002. • INFORMS Finance Committee, 2001-2007 • INFORMS Lanchester Prize Committee, 1999-2000. • Organizing Committee, Thi rd International Workshop on Mathematical Methods in Stochastic Simulation and Experimental Design, St. Petersburg, Russia, 1998.
6 • Co-organizer, Special Workshop on Applications of Probability in Telecommunications, Fields Institute, Toronto, 1998. • Program Committee, Confe rence on Monte Carlo and Quas i-Monte Carlo Methods , Claremont, CA, 1998. • INFORMS Committee to review status and choose ne w editor of Mathematics of Operations Research, 1998. • Outstanding Simulation Publicat ion Award Committee, IN FORMS College on Simulation, 1996 - 1999. • Member, Outstanding Publication Award / Erlang Prize Committee, INFORMS College on Applied Probability, 1996 - 1999. • External Doctoral Examiner, Carleton University, 1997. • Organizing Committee, Second International Workshop on Mathematical Methods in Stochastic Simulation and Experimental Design, St. Petersburg, Russia, 1996. • Organizing Committee, International Workshop on Computational and Statistical Issues for Stochastic Processes, Cremona, Italy, 1996. • Organizing Committee, Computational Finance Conference, International Association of Financial Engineers, Stanford University, 1996. • Organizer of Workshop on Simulation and Monte Carlo Methods, sponsored by NSERC and Telecommunications Research Institute of Ontario, Ottawa, Canada, 1995. • International Science Foundation Eval uation Panel for the Mathemati cal Sciences, 1993. • Transportation Research Board Tas k Force on T ransportation Modeling Research Needs, 1993 - 1995. • Principal Organizer of first SIAM Meeting on Simulation and Monte Carlo Methods (held in San Francisco), 1993. • Member of Program Comm ittee, Confe rence on Applied Probability in Engineering, Computer, and Communication Sciences (held in Paris, France), 1993. • External Doctoral Examiner, University of Waterloo, 1992. • Member of Study Planning Group, National Research Council Doctoral and Postdoctoral Mathematics Study Planning Group, 1990 - 1991.
7 • NSF Evaluation Panel for Research Initiation Awards, 1990, 1999 and 2000. • External Doctoral Examiner, Carleton University, 1990. • George Nicholson Prize Committee, 1989. • Organizing Committee, 18th Conference on Stochastic Processes and their Applications (held in Madison, Wisconsin), 1989. • NSF Panel on Discrete-Event Dynamical Systems, 1987. • NSF Panel on Operations Research in the Next Decade, 1986. ACADEMIC COMMITTEES AND DOCTORAL SUPERVISION Stanford University • Member, Committee on Investment Responsibility, 2013-14 • Member, Library Committee, 2012-13 • Member, Faculty Senate, 2006 - 2007 • Chair, Management Science and Engineering Finance Committee, 2003-present • Member, Committee on Academic Achievement and Promotion, 1998-2001. • Member, Management Science and Engineering Space Committee, 2000-2001. • Chair, Management Science and Engineering Transition Committee, 2000-2001. • Member, School of Enginee ring Committee on Computationa l Mathematics and Engineering, 2000-2001. • Member, Management Science and Engineering Graduate Program Committee, 2000-2001. • Member, Stanford Judicial Council, 1993 - 1998. • Member, School of Engineering Task Force on Technology Management, 1992. • Chair, Department Admissions Committee, 1990 - 1992. • Member, Steering Committee, Stanford Integrated Manufacturing Association, 1990 -1996.
8 • Member, Undergraduate Council of the School of Engineering, 1989 - 1992. Doctoral Supervision DAMERDJI, Halim, Topics in Discrete-Event Stochastic Systems, August 1988. CALVIN, James M., Stochastic Optimization Algorithms and Moment Formulas for Markov Chains, September 1989. *SHAHABUDDIN, Perwez, Simulation and Analysis of Highly Reliable Systems, June 1990. ANDRADOTTIR, Sigrun, Stochastic Optimization with Applications to Discrete Event Systems, August 1990. *NAKAYAMA, Marvin, Simulation of Highly Reli able Markov ian and Non-Markovian Systems, January 1991. MUÑOZ, David, Cancellation Methods in the Analysis of Simulation Output, February 1991. *CHAN, Nathaniel, Optimal Hydraulic Aquifier Management with Reliability Constraints, June 1992. ERDMANN, Eva Diane, Complexity Measures for Testing Binary Keystreams, June 1993. KOLLMAN, Craig (Statistics), Rare Event Simulation in Radiation Transport, October 1993. JUNEJA, Sandeep, Efficient Rare Event Simulation of Stochastic Systems, December 1993. LENNON, Tava, Response-Time Approximations for Multi-Server Polling Models, wit h Manufacturing Applications, August 1994. LOH, Wing Wah, Methods of Control Variates for Discrete Event Simulation, December 1994. YANG, Tzu-Hui, Efficient Simulation Techniques with Application to Performance Evaluation of ATM Switches, June 1995. SCHWERER, Elizabeth, A Linear Programming Approach to the Steady-State Analysis of Markov Processes, May 1996. BRADLEY, James Robert, Managing Manufactur ing Assets and Subcontracting Policies, March 1997. HENDERSON, Shane, Variance Reduction via an Approximating Markov Process, May 1997. HSIEH, Ming-hua, Adaptive Importance Sampling f or Rare Event Simul ation of Queueing Networks, January 1998.
9 WONG, Eugene, An Empirically-Based Coupling Algorithm for Transient Simulation, August 1998. LEE, Shing-Hoi, Monte Carlo Computat ion of Conditional Expectation Quantiles , Augus t 1998. ROMINE, Brad, Real Options in Energy Markets: Analysis and Computation, March 2000. DESAI, Paritosh, Adaptive Monte Carlo Methods for Solving Eigenvalue Problems, April 2001. SZECHTMAN, Roberto, Efficient Monte Carlo Simulation in the Presence of Constraints, September 2001. WARD, Amy, Queues with Reneging, September 2001. ZEEVI, Assaf, Characterization and Estimation of Rare Events via Extreme Values, September 2001. ARAMAN, Victor, Maximum of Perturbed Random Walk: Limit Theorems and Applications, 2002 BLANCHET, Jose, Limit Theorems and Approximations with Applications to Insurance Risk and Queueing Theory, 2004 HOLIDAY, Timothy, Cross-layer Design of Wireless Systems, 2004 SALZMAN, Peter, Statistical Models for the Natural History of Breast Cancer, 2005 CHIA, Yen Lin, Simulation-based Optimiz ation and Applications in Biomedical Modelli ng, 2005 AWAD, Hernan, Clumping of Losses and Long Delays in a Queue: Analysis and Simulation, 2005 SUN, Yuqing, Stochastic Models for Warranty Cost Analysis and Online Purchase Prediction, 2005 OLVERA-CRAVIOTO, Mariana, The Single-Server Queue with Heavy Tails, 2006 LIM, Eunji, Simulation-based Response Surface Computation in the Pr esence of Shape Constraints, 2008 WU, Wei, Simulation-based Optimization in the Presence of Convexity, 2009 ZHANG, Xiaowei, "Computing Rare-Event Probabilities for Affine Models and General State Space Markov Processes, 2011 CHOI, Jihye, "Small-sample Behavior of Importance Sampling Estimators", 2012
10 WEST, Nick (co-advisor), "Filtering and Control of Flow in a Model Scramjet Engine", 2012 CHEHRAZI, Naveed (co-advisor), "Identification and Optimization of Stochasti c Sy stems", 2013 MOUSAVI, Mohammad, "Simulation Methods for Non-stationary Queues and Value Function Computation", 2013 RHEE, Chang-Han, "Unbiased Estimation with Biased Samplers", 2013 DAVIDIAN, Danielle, "The Impact of Estimated Parameters on Optimal Decision-making with Applications in Finance", 2015 JEONG, Seongwon (co-advisor), "Essays on Market Design and Auction Theory", 2015 WANG, Rob, "Brownian Modeling of Queues : Rates of Conver gence to Equilibrium, Departure Variability, and Large Deviations", 2017 *Nathan Chan was awarded the Outstanding Research Paper of 1994 for the Water Resources Planning and M anagement Division, ASCE. *Perwez Shahabuddin won the Nicholson Prize, and Marvin Nakayama received a Nicholson Prize Honorable Mention. This prize, for the best student paper of the year, is awarded by INFORMS. Shahabuddin's dissertation also won the Outstanding Simulation Publication Award of the INFORMS College on Simulation in 1996. RESEARCH, PUBLICATIONS, TECHNICAL PROJECTS, INVITED LECTURES Publications Book Chapters 1. "Recursive Moment Formulas for the Regenerative Method of Simulation" [with D.L. Iglehart]. Semi-Markov Models, [J. Janssen, ed.]. Plenum Press, New York, 99-110 (1986). 2. "Smoothed Limit Theorems for Equilibrium Processes" [with D.L. Iglehart]. Probability, Statistics, and Mathematics: Papers i n Honor of S amuel Karlin, [T.W. Anderson, K.B.T. Athreya, D.L. Iglehart, eds.]. Academic Pre ss, Boston, 89-102 (1989). 3. "Diffusion Approximations" Chapter No. 4. Stochastic Models: Handbooks of OR & MS, Vol. 2 [D. Heyman and M. Sobel, eds.]. Elsevier Science Publishers (1990). Also translated into Japanese. 4. "A GSMP Formalism for Discrete Event Systems". Discrete Event Dynamic Systems [Yu-Chi Ho, ed.]. IEEE Press, Piscataway, NJ (1992).
11 5. "Large Deviations for the Infinite Server Queue in Heavy Traffic". Mathematics and its Applications [F. P. Kelly, R. J. Williams, eds.] Vol. 71, 387-395 (1995). 6. "Two Approaches to the Initial Transient P roblem". M onte Carlo and Quasi-Monte Carlo Methods in Scientific Computing [H. Niederreiter, P. Shuie, eds.] Lecture Notes in Statistics, Vol. 106, Springer-Verlag, New York, 49-57 (1995). 7. "Nonparametric Estimation of Tail Probabilities for the Single-Server Queue" [with M. Torres]. Stochastic Networks: Stability and Rare Events [P. Glasserman, K. Sigman, D.D. Yao, eds.] Springer-Verlag, 109-138 (1996). 8. "Parametric Estimation of Tail Probabi lities for the Single-Server Queue" [wi th M. Torres]. Frontiers in Queueing: Models and Applications in Science and Engineering [J. H. Dshalalow, ed.] CRC Press, New York, 449-462 (1997). 9. "Stochastic Optimization via Grid Sea rch. Mathematics of Stochastic Manufac turing Systems". Lectures in Applied Mathematics, Vol. 33, American Mathematical Society [G.G. Yin, Q. Zhang, eds.], Providence, Rhode Island, 89 - 100 (1997). 10. "Strong Approximations in Queueing Theory". Asymptotic Methods in Probability and Statistics [B. Szyszkowicz, ed.] Elsevier Science, The Netherlands, 135-150 (1998). 11. "Winning the Hand of the Princess Saralinda" [with W. Whitt]. Applied Probability and Stochastic Processes [J.G. Shanthikumar, U. Sumita, eds.] Kluwer Academic Publishers, Boston, 231-246 (1999). 12. "Estimating Tail Probabilities in Que ues via Extremal S tatistics" [with A. Zeevi]. Analysis of Communication Networks: Call Centres, Traffic, and P erformance [D. McDonald, S. Turner, eds.] Fields Institute Communications, American Mathematical Society, Rhode Island, 135-158 (2000). 13. "Some New Perspect ives on the Met hod of Control Variates" [with R. Szechtman]. Monte Carlo and Quasi-Monte Carlo Methods 2000, [K.T. Fang, F.J. Hickernell, H. Niederreiter, eds.] Springer-Verlag, Berlin (2002), 27-49. 14. "Simulation Algorithms for Regenerative Processes" (chapter in "Handbook in Operations Research and Management Science: Simulation (Editors: Shane Henderson and Barry Nelson, 2006), 477-500. 15. "A Stochastic Simulation Model of US Breast Cancer Mortality Trends from 1975 to 2000" (with S. Plevritis, B. Sigal , P. Salzman , and J. Rosenberg), Journal of the National Cancer Institute Monographs 36:86-95 (2006). 16. "Bounding Stationary Expectations of Markov Processes" (with A. Zeevi). Markov Processes and Related Topics: A Festschrift for Thomas G. Kurtz (S. Ethier, J. Feng, and R. Stockbridge, eds.) Institute of Mathematical Statistics (2008), 215-234.
12 17. "Strongly Efficient Algorithms for Light-tailed Random Walks: An Old Folk Song Sung to a Faster new Tune" (with J. Blanchet and K. Leder). Monte Carlo and Quasi-Monte Carlo Methods 2008, [P. L'Ecuyer and Art Owen, eds.], Springer (2009), 227-248. 18. "Robustness Properties and Confidence Interval Reliability" (with G. Rubino and B. Tuffin). Rare Event Analysis Using Monte Carlo Methods (G. Rubino and B. Tuffin, eds.) John Wiley (2009), 63-84. 19. "Asymptotic Validity of Batch Means Steady-State Confidence Intervals" (with E. Lim). Festschrift in Honor of George S. Fishman (David Goldsman and James R. Wilson, eds.), 87-104 (2009) 20. "The Cross-Entropy Method for Estimation" [with D.P. Kroese and R. Rubinstein]. Handbook of Statistics, Vol. 31, Eds. V. Govindaraju and C. R. Rao, Elsevier, 19-34 (2013) 21. "Lévy Processes with Two-sided Reflection" [with L.N. Andersen, S. Asmussen, and M. Pihlsgard]. Levy Matters V, Lecture Notes in Mathematics, Volume 2149, Springer, 67-182 (2015) 22. "Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes" [with R. Wang]. Fields Communications Series: Asymptotic Laws and Methods in Stochastics, 329-345 (2015) 23. "Rates of Convergence and CLTs for Subcanonical Debiased MLMC" [with Z. Zheng and J. Blanchet] To appear in Monte Carlo and Quasi-Monte Carlo Methods 2016 24. "A CLT for Infinitely Stratified Estimators, with Applications to Debiased MLMC" [with Z. Zheng] To appear in ESAIM: Proceedings and Surveys, Vol. 59, p. 104-114 Books Proceedings of NSF Workshop on Resource Planning Under Uncertainty [co-edited with G.B. Dantzig] (1990). Stochastic Simulation: Algorithms and Analysis [with S. Asmussen] Springer (2007). Articles in Refereed Journals (published and submitted) 1."On the Markov Property of the GI/G/∞ Gaussian Limit". Advances in Applied Probability, Vol.14, 191-194 (1982). 2. "On Confidence Intervals for Cyclic Regenerative Processes". Operations Research Letters, Vol. 2, 66-71 (1982). 3. "Some Asymptotic Formulas for Markov Chain with Applications to Simulation". Journal of Statistical Computation and Simulation, Vol. 19, 97-112 (1984).
13 4. "On the Range of a Regenerative Sequence". Stochastic Processes and Their Applications, Vol. 20, 105-113 (1985). 5. "Regenerative Structure of Markov Chains Simulated via Common Random Numbers". Operations Research Letters, Vol. 4, 49-53 (1985). 6. "Regenerative Processes and the ø-Mixing Property." TIMS Simulation Newsletter (1985). 7. "Discrete-Time Conversion for Simul ating Semi-Markov Process es" [with B. L. Fox]. Operations Research Letters, Vol. 5, 191-196 (1986). 8. "A Central-Limit-Version of L = λW" [with W. Whitt]. Queueing Systems: Theory and Applications, Vol. 2, 191-215 (1986). 9. "Estimation of Steady-State Central Moments by the Regenerative Method of Simulation" [with D. L. Iglehart]. Operations Research Letters, Vol. 5, 271-276 (1986). 10. "Sufficient Conditions for Functional Limit Theorem Versions of L = λW " [wit h W. Whitt]. Queueing Systems, Vol. 1, 279-287 (1986). 11. "Upper Bounds for Poisson Tail Probabilities". Operations Research Letters, Vol. 6, 9-14 (1987). 12. "Estimating Time Averages via Randomly-Spaced Observations" [with B. L. Fox]. SIAM Journal of Applied Mathematics, Vol. 47, 186-200 (1987). 13. "Limit Theorems for the Me thod of Replication". Stochastic Models. Vol . 4, 343-350 (1987). 14. "A Joint Cent ral Limit The orem for the Sample M ean and Regenerative Varia nce Estimator" [with D.L. Igelhart]. Annals of Operations Research, Vol. 8, 41-55 (1987). 15. "Ordinary CLT and WLLN Versions of L = λW" [with W. Whitt]. Mathematics of Operations Research, Vol. 13, 674-692 (1988). 16. "An LIL Version of L = λW" [with W. Whitt]. Mathematics of Operations Research, Vol. 13, 693-710 (1988). 17. "Computing Poisson Probabilities" [with B. L. Fox]. Communications of the ACM 31, 440-445 (1988). 18. "Operations Research: The Next Decade". Operations Research, Vol. 36, 619-637 (1988). 19. "Simulation Methods for Queues: An Overview" [with D. L. Iglehart]. Queueing Systems: Theory and Applications, Vol. 3, 221-256 (1988). 20. "Conditions under which a Markov Chain Converges in Finite Time" [with D. L. Iglehart]. Probability in the Engineering and Informational Sciences, Vol. 2, 377-382 (1988).
14 21. "A New Class of Strongly Consistent Estimators for Steady-State Simulations" [with D. L. Iglehart]. Stochastic Processes and their Applications, Vol. 28, 71-80 (1988). 22. "On the Valuation of Payoffs from a Geometric Random Walk of Oil Prices" [with A. S. Manne]. Pacific and Asian Journal of Energy, Vol. 2 (1), 47-48 (1988). 23. "Indirect Estimation via L = λW" [W. Whitt ]. Operations Research, V ol. 37, 82-103 (1989). 24. "Extensions of the Queueing Relations L = λW and H = λG" [with W. Whitt]. Operations Research, Vol. 37, 634-644 (1989). 25. "The Optimal Linear Combination of Control Variates in the Presence of Bias" [with D. L. Iglehart]. Naval Research Logistics, Vol. 36, 683-692 (1989). 26. "Estimating Discounted Costs" [with B. L. Fox]. Management Science, Vol. 35, 1297-1325 (1989). 27. "Importance Sampling for Stochas tic Simulation" [with D. L. Igl ehart]. Management Science Vol. 35, 1367-1392 (1989). 28. "Replication Schemes for Limiting E xpectations" [with B. L. Fox]. Probability in the Engineering and Informational Sciences, Vol. 3, 299-318 (1989). 29. "Parallel Processors for Planning Under Uncertainty" [with G. B. Dantzig]. Annals of Operations Research, Vol. 22, 1-21 (1990). 30. "Simulation Output Analysis Using St andardized Time S eries" [with D. L. Iglehart]. Mathematics of Operations Research, Vol. 15, 1-16 (1990). 31. "Discrete-time Conversion for Simulating Finite-Horizon Markov Processes" [with B. L. Fox]. SIAM J. Appl. Math. Vol. 50, 1457-1473 (1990). 32. "Bias Properties of Budget Constrained Monte Carlo Simulations" [with P. Heidelberger]. Operations Research, Vol. 38, 801-814 (1990). 33. "Likelihood Ratio Gradient Estimation for Stochastic Systems". Communications of the ACM, Vol. 33, 75-84 (1990). 34. "Queues with Negative Arrivals" [with E. Gelenbe, K. Sigman]. Journal of Applied Probability, Vol. 28, 245-250 (1991). 35. "A New View of the Heavy-Traffic Limit Theorem for Many-Server Queues" [with W. Whitt]. Advances in Applied Probability, Vol. 23, 188-209 (1991). 36. "Analysis of Initial Transient Deleti on for Replicated Steady-State Simulations" [ P. Heidelberger]. Operations Research Letters, Vol. 10, 437-443 (1991).
15 37. "Estimating the Asymptotic Variance w ith Batch Me ans" [with W. Whitt]. Operations Research Letters, Vol. 10, 431-435 (1991). 38. "Analysis of Parallel, Replicated Simulations Under a Completion Time Constraint" [with P. Heidelberger]. ACM Transactions on Modeling and Simulation, Vol. 1, 3-23 (1991). 39. "Departures from Many Queues in Series" [with W. Whitt]. Annals of Applied Probability, Vol.1, 546-572 (1991). 40. "A Unified Framework for Simulating Markovian Models of Highly Dependable Systems" [with A. Goyal, P. Shahabuddin, P. Heidelberger, V.F. Nicola]. IEEE Transactions on Computers, Vol. 41, 36-51, (1992). 41. "Uniform Limit Theorems for Synchronous Processes with Applications to Queues" [with K. Sigman]. Stochastic Processes and their Applications, Vol. 40, 29-43 (1992). 42. "Analysis of Initial Transient Deleti on for Parallel Steady-State Simulations" [ with P. Heidelberger]. SIAM J. Scientific Stat. Computing, Vol. 13, 904-922 (1992). 43. "The Asymptotic Efficiency of Simulation Esti mators" [with W. Whitt]. Operations Research, Vol. 40, 505-520 (1992). 44. "The Asymptotic Validity of Sequential Stopping Rules for Stochastic Simulations" [with W. Whitt]. Annals of Applied Probability, Vol. 2, 180-198 (1992). 45. "Experiments with Initial Transient Deletion for Pa rallel, Replicated Steady-State Simulations" [with P. Heidelberger]. Management Science, Vol. 38, 400-418 (1992). 46. "Pathwise Convexity and its Relation t o Convergence of Time -Average Derivatives." Management Science, Vol. 38, 1360-1366 (1992). 47. "Stationarity Detection in the Initial Transient Problem" [with S. Asmussen, H. Thorisson]. ACM Transactions on Modeling and Computer Simulation, Vol. 2, 130-157 (1992). 48. "Jackknifing Under a Budget Constraint" [P. Heidelberger]. ORSA Journal on Computing, Vol. 4, 226-234 (1992). 49. "Estimating Customer and Time Averages [B. Melamed, W. Whitt]. Operations Research, Vol. 41, 400-408 (1993). 50. "Conditions for the Applicabi lity of the Regenerati ve Method" [with D. L. Iglehart]. Management Science, Vol. 39, 1108-1111 (1993). 51. "Limit Theorems for Cumulative Processes" [with W. Whitt]. Stochastic Processes and their Applications, Vol. 47, 299-314 (1993). 52. "Likelihood Ratio Sensitivity Analysis for Markovi an Models of Highly Dependable Systems" [with M. Nakayama, A. Goyal]. Operations Research, Vol. 42, 137-157 (1994).
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17 68. "Likelihood Ratio Gradient Est imation for Stocha stic Recursions" [with P. L'Ecuyer]. Advances in Applied Probability, Vol. 27, 1019-1053 (1995) 69. "Complexity of Non-Adaptive Optimization Algorithms for a Class of Diffusions" [with J. Calvin]. Stochastic Models, Vol. 18 (3), 343-365 (1995) 70. "Heavy-Traffic Extreme-Value Limits for Queues" [with W.Whitt]. Operations Research Letters, Vol. 18, 107-111 (1995) 71. "Efficient Simulation via Coupling" [with E. Wong]. Probability in the Engineering and Informational Sciences, Vol. 10, 165-186 (1996) 72. "A Lyapunov Bound for Solutions of Poisson's Equation" [with S. Meyn]. The Annals of Probability, 916-931 (1996) 73. "A Diffusion Approximation for a Network of Reservoirs with Power Law Release Rule [with J. Glynn]. Stochastic Hydrology and Hydraulics, Vol. 10, No. 1, 17-37 (1996) 74. "Complexity of Non-Adaptive Optimization Algorithms for a Class of Diffusions" [with J.M. Calvin]. Stochastic Models, Vol. 12, No. 3, 343-365 (1996) 75. "Average Case Behavior of Random Search for the Maximum" [with J. M. Calvin]. Journal of Applied Probability, Vol. 34, 632-642, (1997) 76. "A Batch Means Methodology for Estimation of a Nonlinear Function of a Steady- State Mean" [with D. F. Muñoz]. Management Science, Vol. 43, 1121-1135 (1997) 77. "Independent Sampling of a Stochastic Process" [with K. Sigman]. Stochastic Processes and their Applications, Vol. 74, 151-164 (1998) 78. "Diversity and Popularity in Organiza tions and Communities" [with W. N asralla h, R. Levitt]. Computational and Mathematical Organization Theory, Vol. 3 (4), 347-372 (1998). 79. "Internet Service Performa nce Failure Detection" [with A.Ward, K.Richardson]. Performance Evaluation Review, Vol. 26, No. 3, 38-44 (1998). 80. "Limit Theory for Performance Modeling of Fut ure Event Set Algorithms " [with H. Damerdji]. Management Science, Vol. 44, 1709-1722 (1998). 81. "Derandomizing Variance Estimators" [with Shane G. Henderson]. Operations Research. Vol. 47 (6), 907-916 (1999) 82. "On the Maximum Workload of a Queue Fed by Fractional Brownian Motion" [with A. Zeevi]. Annals of Applied Probability, Vol. 10 (4), 1084-1099 (2000). 83. "Simulating the Maximum of a Random Walk" [with K. B. Ensor]. Journal of Statistical Planning and Inference, Vol. 85, 127-135 (2000).
18 84. "On the Asymptotic Optimality of the SPT Rule for the Static Flow Shop Average Completion Time Problem"[with J. G. Shanthikumar and C. H. Xia]. Operations Research, Vol. 48 (4), 615-622 ( 2000 ) 85. "On the Behavior of a Long Cascade of Linear Reservoirs" [with J. Glynn]. Journal of Applied Probability, Vol. 37, 417-428 (2000) 86. "Computing Densities for Markov Chairs via Simulation" [with S.G. Henderson]. Mathematics of Operations Research, Vol. 26, 375-400 (2001) 87. "Event-Driven Power Management" [with T. Siminic, L. Benini, G. DeMicheli]. IEEE Transactions on Computer-Aided Design of Integrated Circuits and Systems. Vol. 20, 840-857 (2001). 88. "Two-sided Taboo Limits for Markov Processes and Associated Perfect Simulation" [with H. Thorisson]. Stochastic Processes and their Applications, Vol. 91, 1-20 (2001). 89. "Multivariate Standardized Time Series for Steady-State Simulation Output Analysis" [with D. Munoz]. Operations Research, Vol. 49, 413-422 (2001). 90. "Regenerative Steady-State Simulation of Discrete-Event Systems" [with S.G. Henderson]. Transactions on Computer Modeling and Simulation, Vol. 11, 313-345 (2001). 91. "Managing Capacity and Inventory Jointly in Manufacturing Systems" [with J. Bradley]. Management Science, 273-288 ( 2002 ). 92. "Necessary Conditions in Limit Theorems for Cumulative Processes" [with W. Whitt]. Stochastic Processes and their Applications, Vol. 98 (2), 199-209 (2002). 93. "Transient Simulation Via Empirically-Based Coupling" [with D. L. Iglehart, E.W. Wong]. To appear in Probability in the Engineering and Informational Sciences. 94. "Approximating Martingales for Variance Reduction in Markov Process Simulation" [with S.G. Henderson]. Mathematics of Operations Research. Vol. 27 (2), 253-271 (2002) 95. "Hoeffding's Inequality for Uniformly Recurrent Markov Chains" [with D. Ormoneit]. Statistics and Probability Letters. Vol. 56 (2), 143-146 (2002) 96. "Optimal Control of Parallel Queues with Batch Service" [with C. Xia, G. Michalaidis, N. Bambos]. Probability in the Engineering and Informational Sciences. Vol. 16(3), 289-307 (2002) 97. "Structural Characterization of Taboo-Stationarity for General Processes in Two-sided time" [with H. Thorisson]. Stochastic Processes and their Applications. Vol. 102 (2), 311-318 (2002) 98. "On the Validity of Long-Run Estimation Methods for Discrete-Event Systems" [with P. J. Haas] Performance Evaluation Review. Vol. 30, 35-37 (2002).
19 99. "Kernel-Based Reinforcement Learning in Average-Cost Problems" [with D. Ormoneit]. IEEE Transactions on Automatic Control. Vol. 47 (10), 1624-1636 (2002) 100. "A Diffusion Approximation for a Markovian Queue with Reneging" [with A. Ward]. Queueing Systems: Theory and Applications. Vol. 43, 103-128 (2003) 101. "Properties of the Reflected Ornstein-Uhlenbeck Process" [with A. Ward]. Queueing Systems: Theory and Applications. Vol. 44 (2), 109-123 (2003) 102. "A Diffusion Approximation for a Markovian Queue with Reneging" [with A. Ward]. Queueing Systems: Theory and Applications. Vol. 43, 103-128 (2003) 103. "Nonexistence of a Class of Variate Generation Schemes" [with S.G. Henderson]. Operations Research Letters. Vol. 31 (2), 83-89 (2003) 104. "On Functional Central Limit Theorems for Semi-Markov and Related Processes" [with P. J. Haas]. Commun. Statist. Theory Methods, Vol. 33, 487-506 (2004) 105. "Managing Power Consumption in Networks on Chips" [with T. Simunic and S. Boyd]. IEEE Transactions on VLSI, 96-107 (2004). 106. "Dynamic Modeling of the Trade-off Between Productivity and Safety in Critical Engineering Systems" [with M.M. Baron and M.E. Pate-Cornell]. Reliability Engineering and System Safety, 269-284 (2004). 107. "Interaction Value Analysis: When Structured Communication Benefits Organizations" [with W. Nasrallah, R.Levitt]. Organization Science, 541-557 (2005). 108. "Recurrence Properties of Autoregressive Processes with Super-Heavy Tails" [with A. Zeevi]. Journal of Applied Probability, 639-653 (2004) 109. "Estimating Tail Decay for Stationary Sequences via Extreme Values" [with A. Zeevi]. Advances in Applied Probability, 198-226 (2004). 110. "Limit Theory for Taboo-Regenerative Processes" [with H. Thorisson]. Queueing Systems: Theory and Applications, 271-294 (2004). 111. "The Mean Number-in-System Vector Range for a Multi-Class Queueing Network" [with B. C. Eaves and U.G. Rothblum]. Mathematics of Operations Research, 182-190 (2004). 112. "Computing the Distribution Function of a Conditional Expectation via Monte Carlo conditioning Spaces" [with S.H. Lee]. ACM Transactions on Modeling and Computer Simulation, 238-258 (2003). 113. "Estimation of Continuous-time Markov Processes Sampled at Random Time Intervals" [with Darrell Duffie]. Econometrica , 1809-1844 (2004). 114. "A Diffusion Approximation with a GI/GI/1 Queue with Balking or Reneging" [with A. Ward] Queueing Systems: Theory and Applications, 371-400 (2005)
20 115. "Diffusion Approximations for the Maximum of a Perturbed Random Walk" [with V. Araman] Advances in Applied Probability, 663-680 (2005). 116. "Simulation-based Parameter Estimation for Complex Models: A Breast Cancer Natural History Modelling Illustration" [with Y. Chia, P. Salzman, and S. Plevritis]. Stat. Method Res. 507-24 (2004). 117. "Empirical Performance of Bias-reducing Estimators for Regenerative Steady-State Simulations" [with M. Hsieh and D. Iglehart].ACM Transactions on Modeling and Computer Simulation, 328-343 (2004). 118. "Laws of Large Numbers and Functional Central Limit Theorems for Generalized Semi- Markov Processes" [with Peter Haas]. Stochastic Models, 22, 201-231 (2006). 119. "A Nonparametric Approach to Multiproduct Pricing" [with P. Ruusmevichientong and B. Van Roy]. Operations Research 54, 82-98 (2006). 120. "Tail Asymptotics for the Maximum of Perturbed Random Walk" [with V. Araman]. Annals of Applied Probability, 1411-1431 (2006). 121. "Complete Corrected Diffusion Approximations for the Maximum of a Random Walk" [with J. Blanchet]. Annals of Applied Probability, 951-983 (2006). 122. "On Entropy and Lyapunov Exponents for Finite State Channels" [with A. Goldsmith and T. Holliday]. IEEE Transactions on Information Theory. 3509-3532 (2006). 123. "The Semi-Regenerative Method of Simulation Output Analysis," [with J. M. Calvin and M. Nakayama]. ACM Transactions on Modeling and Computer Simulation, 280-315 (2006) 124. "Opportunities and Challenges in Using Online Preference Data for Vehicle Pricing: A Case Study at General Motors" [with P. Rusmevichientong, J. A. Salisbury, L. T. Truss, and B. Van Roy] Journal of Revenue and Pricing Management, Vol. 5, No. 1, pp. 45-61, (2006) 125. "A Natural History Model of Stage Progression Applied to Breast Cancer"[with P. Salzman, S. Plevritis, and B. Sigal] Statistics in Medecine, 581-595 (2007). 126. "On the Theoretical Comparison of Low-Bias Steady-State Estimators" [with H. Awad]. ACM Transactions on Modeling and Computer Simulation, 1-30 (2007). 127. "Fluid Heuristics, Lyapunov Bounds, and Efficient Importance Sampling for a Heavy-tailed G/G/1 Queue" [ with J. Blanchet and J.C. Liu ]. Queueing Systems: Theory and Applications, 57, 99-113 (2007). 128. "Uniform Renewal Theory with Applications to Expansions of Random Geometric Sums" [ with J. Blanchet ]. Advances in Applied Probability, Vol. 39, No. 4, 1070 - 1097 (2007).
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22 144. "Wide-sense Regeneration for Harris Recurrent Markov Processes: An Open Problem". Queueing Systems: Theory and Applications, 68, 305-311 (2011) 145. "Limit Theorems for Simulation-based Optimization via Random Search" [with Y. Chia]. ACM Transactions on Modeling and Computer Simulation, 23, 18 pages (2013) 146. "Zero-Variance Importance Sampling Estimators for Markov Process Expectations" [with H. Awad and R. Rubinstein]. Mathematics of Operations Research, 38, 358-388 (2013) 147. "On the Dynamics of a Finite Buffer Queue Conditioned on the Amount of Loss" [with X. Zhang]. Queueing Systems: Theory and Applications 67, 91-110 (2011) 148. "On Exponential Limit Laws for Hitting Times of Rare Sets for Harris Chains and Processes". Journal of Applied Probability 48A, 319-326 (2011) 149. "Fractional Brownian Motion with H<1/2 As a Limit of Scheduled Traffic" [with V. Araman] Journal of Applied Probability 49, 710-718 (2012) 150. "On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling" [with J.H. Blanchet and K. Leder]. ACM Transactions on Modeling and Computer Simulation, 22, 27 pages (2012) 151. "On the Dynamics of Semimartingales with Two Reflecting Barriers" [with M. Pihlsgard]. Journal of Applied Probability 50, 671-685 (2013) 152. "Large Deviations for the Empirical Mean of an M/M/1 Queue" [with J. Blanchet and S. Meyn] Queueing Systems: Theory and Applications 73, 425-446 (2013) 153. "On the Convergence of Finite Order Approximations of Stationary Time Series" [with S.D. Gupta and R.R. Mazumdar]. Journal of Multivariate Analysis 121, 1-21 (2013) 154. "Exact Estimation for Markov Chain Equilibrium Expectations" [with C.H. Rhee]. Journal of Applied Probability, 51A, 377-389 (2014) 155. "On Transience and Recurrence in Irreducible Finite-State Stochastic Systems" [with P.J. Haas]. ACM Transactions on Modeling and Computer Simulation 25, 19 pages (2015) 156. "Affine Point Processes: Approximation and Efficient Simulation" [with J.H. Blanchet, K. Giesecke, and X. Zhang]. Mathematics of Operations Research 40, 797-819 (2015) 157. "Unbiased Estimation with Square Root Convergence for SDE Models" [with C.H. Rhee]. Operations Research 63, 1026-1043 (2015) 158. "Computing Bayesian Means Using Simulation" [with S. Andradottir]. ACM Transactions on Modeling and Computer Simulation 26, 26 pages (2016) 159. "Analysis of a Stochastic Approximation Algorithm for Computing Quasi-stationary Distributions" [with J. H Blanchet and S. Zheng] Advances in Applied Probability
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24 9. "Sensitivity Analysis for Stationary Probabilities of a Markov Chain". Proceedings of the 4th Army Conference on Applied Mathematics and Computing, 917-932 (1986). 10. "Monte Carlo Optimization of Stochastic Systems: Two New Approaches" [with J.L. Sanders]. Proceedings of the 1986 ASME Conference on Computers in Engineering, Vol. 2, 219-223 (1986). 11. "A New Initial Bias Deletion Rule" [with D.L. Iglehart]. Proceedings of the 1987 Winter Simulation Conference, 318-319 (1987). 12. "Likelihood Ratio Gradient Est imation: An Ove rview". Proceedings of the 1987 Winter Simulation Conference, 366-375 (1987). 13. "A Non-Rectangular Sampling Plan for Estimating Steady-State Means". Proceedings of the 6th Army Conference on Applied Mathematics and Computing, 965-978 (1988). 14. "Computational and Statistical Issue s in Di screte-Event Simulation" [with D.L. Iglehart]. Proceedings of the 34th Conference on the Design of Experiments in Army Research Development and Testing, 265-280 (1988). 15. "Variance Reduction in Mean Time to Failure Simulations" [with P. Shahabuddin, V. Nicola, P. Heidelberger, A.Goyal]. Proceedings of the 1988 Winter Simul ation Conference, 491-500 (1988). 16. "Optimization of Stochastic Systems via Simulation". Proceedings of the 1989 Winter Simulation Conference, 90-105 (1989). 17. "Likelihood Ratio Derivative Estimators for Stochastic Systems". Proceedings of the 1989 Winter Simulation Conference, 374-380 (1989). 18. "Decomposition and Parallel Processing Te chniques f or Large Scale Electric Power System Planning Under Uncertainty" [with M. Avriel, G.B. Dantzig]. Proceedings of NSF Workshop on Resource Planning Under Uncertainty, 3-34 (1990). 19. "Gradient Estimation for Ratios" [with P. L'Ecuyer and M. Ades]. Proceedings of the 1991 Winter Simulation Conference, 986-993 (1991). 20. "Gradient Estimation for Regenerative Processes" [with P. Glasserman]. Proceedings of the 1992 Winter Simulation Conference, 280-288 (1992). 21. "Experimental Results for Gradient Estimation and Optimization of a Markov Chain in Steady-State" [with P. L'Ecuyer a nd N. Giroux]. Proceedings of the 1990 Vienna Conference on Computationally Intensi ve Methods in Simulation and Optimization, Lecture Notes in Economics and Mathematical Systems, No. 374, 14-23 (1992). 22. "Fast Simulation of Steady-State Availability in Non-Markovian Highly Dependable Systems" [with V. Nicola, P. Shahabuddin, and P. Heidelberger]. Proceedings of the 3rd International Symposium on Fault-Tolerant Computing, Vol. 2, 38-47 (1993).
25 23. "Efficient Estimation of the Mean T ime Between Failures in Non-regenerative Dependability Models" [with P. Heide lberger, V. Nicola, and P. Sha habuddin]. Proceedings of the 1993 Winter Simulation Conference, 311-316 (1993). 24. "Increasing the Frequency of Regeneration for Markov Processes" [with J. Calvin and S. Andradottir]. Proceedings of the 1994 Winter Simulation Conference, 320-323 (1994). 25. "Performance Analysis of Future Event Sets" [with Halim Damerdji]. Proceedings of the 1995 Winter Simulation Conference, 316-321 (1995). 26. "Some New Results on the Initial Transient Problem". Proceedings of the 1995 Winter Simulation Conference, 165-170 (1995). 27. "A Set of Extensions to the SIMAN/ARENA Simulation Environment" [with M. J. Torres]. Proceedings of the 1995 Winter Simulation Conference, 285-293 (1995). 28. "Importance Sampling for Monte Carlo Estimation of Quantiles". Proceedings of the Second International Workshop on Mathematical Methods in Stochastic Simulation and Experimental Design, 180-185 (1996). 29. "Grid-Based Simulation and the Method of Conditional Least Squares". Proceedings of the 1996 Winter Simulation Conference, 325-331 (1996). 30. "Selecting the Best System in Transient Simulations with Variances Known" [with H. Damerdji, M. K. Nakayama, J. R. Wilson]. Proceedings of the 1996 Winter Simulation Conference, 281-286 (1996). 31. "Numerical Computation of Large Deviations Exponents via Simulation". Proceedings of the 1996 Allerton Conference on Communication, Control, and Computing, 790-797 (1996). 32. "Computational Efficiency Evaluation i n Output Analysis" [with H. Damerdji , S.G. Henderson]. Proceedings of the 1997 Winter Simulation Conference, 208-215 (1997). 33. "DTMW: A New Congestion Control Scheme for Long-Range Dependent Traffic" [with C. Huang, I. Lambadaris, M. Devetsikiotis and A.R. Kaye]. Proceedings of the 15th International Teletraffic Congress - ITC15, Teletraffic Science and Engineering, Vol 2b, 1097-1106 (1998). 34. "Internet Service Performa nce Failure Detection" [with A. Ward, K. Richards on]. Proceedings of the 1998 Internet Server Performance Workshop (held in conjunction with SIGMETRICS '98), 103-110 (1998). 35. "Estimation of Stationary Densities for Markov Chains" [with Shane G. Henderson]. Proceedings of the 1998 Winter Simulation Conference, 647-652 (1998). 36. " Can the Regenerative Method be Applied to Discrete-Event Simulations?" [ with S. G. Henderson ]. Proceedings of the 1999 Winter Simulation Conference, 367-373 ( 1999 ).
26 37. "Computing the Distribution Function of a Conditional Expectation via Monte Carlo: Discrete Conditioning Spaces" [ w ith S.H. Lee]. Pr oceedings of the 1999 Winter Simulation Conference, 1654-1663 ( 1999 ). 38. "On the Small-Sample Optimality of Multiple-Regeneration Estimators" [ with J. Calvin and M. Nakayama ] Proceedings of the 1999 Winter Simulation Conference, 655-661 (1999) 39. "Dynamic Power Management of Portable Systems" [with T. Simunic, L.Benini, and G. DeMicheli]. MOBICOM 2000, 11-19 (2000) 40. "Energy Efficient Design of Portable Wireless Systems" [with T. Simunic, H. Vikalo, and G. DeMicheli]. ISLPED 2000, 49-54 (2000) 41. "Dynamic Power Management of Laptop Hard Disks" [with T. Simunic, L. Benini, and G. DeMicheli]. DATE 2000, 736 (2000) 42. "Dynamic Voltage Scaling for Portable Systems" [wi th T. Simunic, L. Benini, A . Acquaviva, G. DeMicheli]. DAC 2001, 524-529 (2001). 43. "Importance Sampling Using the Semi-Regenerative Method" [with J. M. Calvin and M.K. Nakayama ]. Proceedings of the 2001 Wi nter Simulation Conference, 441-450 (2001). 44. "Constrained Monte Carlo and the Method of Control Variates" [with R. Szechtman]. Proceedings of the 2001 Winter Simulation Conference, 394-2000 (2001). 45. "A Markov Chain Perspective on Adaptive Monte Carlo Algorithms" [with P. Desai]. Proceedings of the 2001 Winter Simulation Conference. 379-384 (2001). 46. "Wireless Link Adaptation Policies : QoS for D eadline Constrained Traffic w ith Imperfect Channel Estimates" [with T. Holliday and A. Goldsmith]. Proceedings of the International Conference on Communications 2002, 3366-3371 (2002). 47. "Optimal Power Control and Source-Channel Coding for Delay Constrained Traffic over Wireless Channels" [with T. Hol liday and A. Goldsmith]. IEEE Conference on Communications 2002, 831-835 (2002). 48. "Optimal Link Adaptation in Wideband CDMA Systems" [with T. Holliday and A. Goldsmith]. Proceedings of the 2002 Global Telecommunications Conference, 721-726 (2002). 49. "Entropy and Mutual Information for Markov Channels with General Inputs" [with T. Holliday and A. Goldsmith]. Proceedings of the 2002 Allerton Confer ence on Communication, Control, and Computing, 824-833 (2002). 50. "Rare-Event Simulation for Infinite Server Queues" [with R. Szechtman]. Proceedings of the 2002 Winter Simulation Conference, 416-423 (2002).
27 51. "Confidence Regions for Stochasti c Approximation Algori thms" [with M. Hsieh]. Proceedings of the 2002 Winter Simulation Conference, 370-376 (2002). 52. "Capacity of Finite State Markov Channels with General Inputs" [with T. Holliday and A. Goldsmith]. Proceedings of the 2003 IEEE International Symposium on Information Theory, p. 289 (2003). 53. "Optimal Power Control for CDMA Systems in the Wide-band Limit" [with T. Holliday and A. Goldsmith]. Proceedings of the 2003 IEEE Internati onal Symposi um on Information Theory, 418-421 (2003). 54. "Distributed Power Control for Time-Varying Wireless Networks: Optimality and Convergence" [with T. Holliday, and A. Goldsmith]. Proceedings of the 2003 Allerton Conference on Communication, Control, and Computing, 1024-1033 (2003). 55. "Distributed Power Control for Time-Varying Wireless Networks". Proceedings of the 2004 International Symposium on Information Theory, p. 352 (2004). 56. "A Large Deviations Perspective on Ordinal Optimization" [with S. Juneja]. Proceedings of the 2004 Winter Simulation Conference, 577-586 (2004). 57. "Shannon Meets Lyapunov: Connections between Information Theory and Dynamical Systems" [with T. Holiday and A . Goldsmith]. IEEE Conference on Decision and Control, Seville, Spain, 1756-1763 (2005). 58. "The Initial Transient Problem for Steady-State Simulation". Proceedings of the 2005 Winter Simulation Conference, 739-740 (2005). 59. "On an Initial Transient Deletion Rule with Rigorous Theoretical Support" [with H. Awad]. Proceedings of the 2006 Winter Simulation Conference, 186-191 (2006). 60. "Simulation-based Response Surface Estimation in the Presence of Monotonicity" [with E. Lim]. Proceedings of the 2006 Winter Simulation Conference, 264-271 (2006). 61. "Efficient Sub-Optimal Rare-Event Simulation" [with J. Blanchet and X.Zhang ]. Proceedings of the 2007 Winter Simulation Conference, 389-394 (2007). 62. "A Large Deviations View of Asymptotic Efficiency for Simulation Estimators" [with S. Juneja]. Proceedings of the 2008 Winter Simulation Conference, 396-406 (2008). 63. "New Estimators for Parallel Steady-State Simulations" [with M. Hsieh] Proceedings of the 2009 Winter Simulation Conference, 469-474 (2009) 64. "Rare Event Simulation for a Generalized Hawkes Process" [with X.Zhang, J. Blanchet, and K. Giesecke] Proceedings of the 2009 Winter Simulation Conference, 1291-1298 (2009) 65. "A Regenerative Bootstrap Approach to Estimating the Initial Transient" [with X. Zhang] Proceedings of the 2010 Winter Simulation Conference, 965-970
28 66. "A New Approach to Unbiased Estimation for SDEs" [with C.H. Rhee]. Proceedings of the 2012 Winter Simulation Conference, 7 pages 67. "On Simulation of Non-Markovian Stochastic Petri Nets with Heavy-Tailed Firing Times" with P.J. Haas]. Proceedings of the 2012 Winter Simulation Conference, 12 pages 68. "Empirical Analysis of a Stochastic Approximation Approach for Computing Quasi- stationary Distributions" [with J.H. Blanchet and S. Zheng]. In: Schütze O. et al. (eds) EVOLVE - A Bridge between Probability, Set Oriented Numerics, and Evolutionary Computation II. Advances in Intelligent Systems and Computing, vol 175. Springer, Berlin, Heidelberg, 19-37 (2013) 69. "Measuring the Initial Transient: Reflected Brownian Motion" [with R. Wang]. Proceedings of the 2014 Winter Simulation Conference, 652-661 (2014) 70. "An Empirical Algorithm for Relative Value Iteration for Average-cost MDPs" [with A. Gupta and R. Jain]. 2015 IEEE Conference on Decision and Control, 5079- 5084 (2015) 71. "Unbiased Monte Carlo for Optimization and Functions of Expectations via Multilevel Randomization" [with J.H. Blanchet]. Proceedings of the 2015 Winter Simulation Conference, 12 pages (2015) 72. "Unbiased Monte Carlo Computation of Smooth Functions of Expectations via Taylor Expansions" [with J.H. Blanchet and N. Chen]. Proceedings of the 2015 Winter Simulation Conference, 8 pages (2015) 73. "Exact Simulation versus Exact Estimation". Proceedings of the 2016 Winter Simulation Conference, 193-205 (2016) 74. "Extensions of the Regenerative Method to New Functionals" [with Z. Zheng]. Proceedings of the 2016 Winter Simulation Conference, 289-301 (2016) 75. "On the Asymptotic Analysis of Quantile Sensitivity Estimation by Monte Carlo Simulation" [with Y. Peng, M. Fu, and J. Hu] To appear in Proceedings of the 2017 Winter Simulation Conference Technical Reports "A Low Bia s Steady-State Estimator for E quilibrium Processes." Technical Report, Mathematics Research Center, University of Wisconsin, Madison. "Asymptotic Theory for Nonparametric Confide nce Intervals." Tec hnical Report, Department of Operations Research, Stanford University (1982). "Regenerative Aspects of the Steady -State Simulation Problem for Markov Chains." Technical Report, Department of Operations Research, Stanford University (1982).
29 "Some New Results in Regenerative Process Theory". Technical Report, Department of Operations Research, Stanford University (1982). "Regenerative Simulation of Harris Rec urrent Markov Cha ins". Technical Report , Department of Operations Research, Stanford University (1982). "On ARMA Representations for White Noise in a Markovian Environment". Technical Report No. 2588, Mathematics Research Center, University of Wisconsin (1983). "Randomized Estimators for Ti me Integrals". Technical Report, Mathem atics Research Center, University of Wisconsin, Madison (1983). "Equitable Assignment Rules" [w ith J.L. Sanders]. Technical Report, Mathematics Research Center, University of Wisconsin, Madison (1984). "Consequences of Uniform Integrability for Simulation" [with D.L. Iglehart]. Technical Report, Department of Operations Research, Stanford University (1986). On the Conve rgence of a Re generative Process t o its S teady-State. Technical Report, Mathematics Research Center, University of Wisconsin, Madison (1987). "Process Differentiable Re presentations for Parametric Families of Dis tributions." Technical Report, Mathematics Re search Center, University of Wisconsin, Madison (1987). "Tightness of Synchronous Processes" [with K. Sigman]. Technical Report, Department of Operations Research, Stanford University (1989). "Decomposition Techniques for Multi-Area Generation and Transmission Planning Under Uncertainty" [with G.B. Dantzig et al]. Electric Power Research Institute Report EL-6484, (1989). "A Difficulty in the Computation of Expected Utilities in Medical Decision Making" [with D.G. Fryback and F. Sainfort]. "Derandomizing and Rerandomizing Variance E stimat ors" [with Shane Henderson]. Technical Report, Department of Operations Research, Stanford University (1996). "Tightness for Non-irreducible Markov Chains" [with Sean Meyn]. T echnical Report, Department of Engineering-Economic Systems and Opera tions Research, Stanford University, (1997). "The Covariance Function of a Regenerative Process." Technical Report, Department of Engineering-Economic Systems and Operations Research, Stanford University, (1997). "A Family of Regenerative Moment Identities" [with James M. Calvin]. Technical Report, Department of Engineering-Economic Systems and Opera tions Research, Stanf ord University (1998)
30 "Approximations for the Distribution of Perpetuities with Small Discount Rates" [with J. H. Blanchet], Technical Report, Department of Management Science and Engineering, Stanford University (2005) Other "Regenerative Processes and the φ-Mixing Property". TIMS Simulation Newsletter (1985). Book Review: Stochastic Simulation by B.D. Ripley. American Scientist, Vol. 77, 195-196 (1989). "Educating Mathematical Scientists: Doctoral Study and the Postdoctoral Experience in the United States" [with the Committee on Doctoral and Postdoctoral Study in the United States]. National Research Council (1992). Foreword, Discrete Event Dynamic Systems: Theory and Applications, 6, 7-8 (1996). "Optimization for Simulation: Theory vs. Practice", authored by Michael C. Fu. INFORMS Journal on Computing, (2001), commentary "Guest Editors' Introduction to Special Issue Honoring Donald L. Iglehart" [with P.J. Hass]. ACM Transactions on Modeling and Computer Simulation, 3 pages (2015)
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From Algorithms to Z-Scores: Probabilistic and Statistical